Well, the files certainly shouldn't be named like that.
Could you tell me where it was bought? There might be a problem with a whole batch.
In the meantime you can use the GOG code found in the box and claim your free digital copy.
Alternatively, you may try renaming the files but to do that you'll have to copy them to HDD (all to the same folder)
Rename them as follows: Disc1:
SETUP-TH.EXE -> SETUP-TH.EXE
SETUP-TH.BIN -> SETUP-TH-1.BIN
SETUP-T2.BIN -> SETUP-TH-2.BIN Disc2:
SETUP-TH.BIN -> SETUP-TH-3.BIN
SETUP-T2.BIN -> SETUP-TH-4.BIN Disc3:
SETUP-TH.BIN -> SETUP-TH-5.BIN
SETUP-T2.BIN -> SETUP-TH-6.BIN Disc4:
SETUP-TH.BIN -> SETUP-TH-7.BIN
SETUP-T2.BIN -> SETUP-TH-8.BIN OR
if there is only one .bin on Disc3&4: Disc3:
SETUP-TH.BIN -> SETUP-TH-5.BIN Disc4:
SETUP-TH.BIN -> SETUP-TH-6.BIN